bool run_multitopic_test(const Publisher_var& pub, const Subscriber_var& sub)
{
DomainParticipant_var sub_dp = sub->get_participant();
// Writer-side setup
Writer<LocationInfo> location(pub, "Location", sub_dp);
Writer<PlanInfo> flightplan(pub, "FlightPlan", sub_dp);
Writer<MoreInfo> more(pub, "More", sub_dp);
Writer<UnrelatedInfo> unrelated(pub, "Unrelated", sub_dp);
MoreInfoDataWriter_var midw = MoreInfoDataWriter::_narrow(more.dw_);
// Reader-side setup
ResultingTypeSupport_var ts_res = new ResultingTypeSupportImpl;
check(ts_res->register_type(sub_dp, ""));
CORBA::String_var type_name = ts_res->get_type_name();
MoreInfo mi;
DDS::DataReader_var dr;
for (int i = 0; i < N_ITERATIONS; ++i) {
MultiTopic_var mt = sub_dp->create_multitopic("MyMultiTopic", type_name,
"SELECT flight_name, x, y, z AS height, more, misc "
"FROM Location NATURAL JOIN FlightPlan NATURAL JOIN More NATURAL JOIN "
"Unrelated WHERE height < 1000 AND x<23", StringSeq());
if (!mt) return false;
dr = sub->create_datareader(mt, DATAREADER_QOS_DEFAULT,
0, DEFAULT_STATUS_MASK);
// Write samples (Location)
waitForMatch(location.dw_);
LocationInfoDataWriter_var locdw =
LocationInfoDataWriter::_narrow(location.dw_);
LocationInfo sample = {100, 97, 23, 2, 3}; // filtered out (x < 23)
ReturnCode_t ret = locdw->write(sample, HANDLE_NIL);
if (ret != RETCODE_OK) return false;
LocationInfo sample2 = {100, 96, 1, 2, 3000}; // filtered out (height < 1000)
ret = locdw->write(sample2, HANDLE_NIL);
if (ret != RETCODE_OK) return false;
LocationInfo sample3 = {100, 99, 1, 2, 3};
ret = locdw->write(sample3, HANDLE_NIL);
if (ret != RETCODE_OK) return false;
LocationInfo sample3_5 = {100, 98, 4, 5, 6};
ret = locdw->write(sample3_5, HANDLE_NIL);
if (ret != RETCODE_OK) return false;
// Write samples (FlightPlan)
waitForMatch(flightplan.dw_);
PlanInfoDataWriter_var pidw = PlanInfoDataWriter::_narrow(flightplan.dw_);
PlanInfo sample4;
sample4.flight_id1 = 100;
sample4.flight_id2 = 99;
sample4.flight_name = "Flight 100-99";
sample4.tailno = "N12345";
ret = pidw->write(sample4, HANDLE_NIL);
if (ret != RETCODE_OK) return false;
PlanInfo sample4_1(sample4);
sample4_1.flight_id2 = 97;
sample4_1.flight_name = "Flight 100-97";
ret = pidw->write(sample4_1, HANDLE_NIL);
if (ret != RETCODE_OK) return false;
PlanInfo sample4_2(sample4);
sample4_2.flight_id2 = 96;
sample4_2.flight_name = "Flight 100-96";
ret = pidw->write(sample4_2, HANDLE_NIL);
if (ret != RETCODE_OK) return false;
// Write samples (More)
waitForMatch(more.dw_);
mi.flight_id1 = 12345;
mi.more = "Shouldn't see this";
ret = midw->write(mi, HANDLE_NIL);
if (ret != RETCODE_OK) return false;
mi.flight_id1 = 100;
mi.more = "Extra info for all flights with id1 == 100";
ret = midw->write(mi, HANDLE_NIL);
if (ret != RETCODE_OK) return false;
// Write samples (Unrelated)
waitForMatch(unrelated.dw_);
UnrelatedInfoDataWriter_var uidw =
UnrelatedInfoDataWriter::_narrow(unrelated.dw_);
UnrelatedInfo ui;
ui.misc = "Misc";
ret = uidw->write(ui, HANDLE_NIL);
if (ret != RETCODE_OK) return false;
// Read resulting samples
WaitSet_var ws = new WaitSet;
ReadCondition_var rc = dr->create_readcondition(ANY_SAMPLE_STATE,
ANY_VIEW_STATE, ANY_INSTANCE_STATE);
ws->attach_condition(rc);
Duration_t infinite = {DURATION_INFINITE_SEC, DURATION_INFINITE_NSEC};
ConditionSeq active;
ret = ws->wait(active, infinite);
if (ret != RETCODE_OK) return false;
ws->detach_condition(rc);
ResultingDataReader_var res_dr = ResultingDataReader::_narrow(dr);
ResultingSeq data;
SampleInfoSeq info;
ret = res_dr->take_w_condition(data, info, LENGTH_UNLIMITED, rc);
if (ret != RETCODE_OK) return false;
if (data.length() > 1 || !info[0].valid_data) return false;
std::cout << "Received: " << data[0].flight_id1 << '-' <<
data[0].flight_id2 << " \"" << data[0].flight_name << "\" " << data[0].x <<
" " << data[0].y << " " << data[0].height << " \"" << data[0].more <<
"\" \"" << data[0].misc << "\"" << std::endl;
if (data[0].flight_id1 != sample4.flight_id1 || data[0].flight_id2 !=
sample4.flight_id2 || strcmp(data[0].flight_name, sample4.flight_name) ||
data[0].x != sample3.x || data[0].y != sample3.y ||
data[0].height != sample3.z || strcmp(data[0].more, mi.more) ||
strcmp(data[0].misc, ui.misc)) {
return false;
}
// Check return get_key_value
Resulting resulting_value;
ret = res_dr->get_key_value(resulting_value, DDS::HANDLE_NIL);
if (ret != RETCODE_BAD_PARAMETER) return false;
data.length(0);
info.length(0);
ret = res_dr->read_w_condition(data, info, LENGTH_UNLIMITED, rc);
dr->delete_readcondition(rc);
if (ret != RETCODE_NO_DATA) return false;
// Reader cleanup
if (i != N_ITERATIONS - 1) {
sub->delete_datareader(dr);
waitForMatch(location.dw_, 0);
waitForMatch(flightplan.dw_, 0);
waitForMatch(more.dw_, 0);
waitForMatch(unrelated.dw_, 0);
sub_dp->delete_multitopic(mt);
}
}
// Dispose
ReturnCode_t ret = midw->dispose(mi, HANDLE_NIL);
if (ret != RETCODE_OK) return false;
ReadCondition_var rc =
dr->create_readcondition(ANY_SAMPLE_STATE, ANY_VIEW_STATE,
NOT_ALIVE_DISPOSED_INSTANCE_STATE);
WaitSet_var ws = new WaitSet;
ws->attach_condition(rc);
const Duration_t infinite = {DURATION_INFINITE_SEC, DURATION_INFINITE_NSEC};
ConditionSeq active;
ret = ws->wait(active, infinite);
if (ret != RETCODE_OK) return false;
ws->detach_condition(rc);
ResultingDataReader_var res_dr = ResultingDataReader::_narrow(dr);
ResultingSeq data;
SampleInfoSeq info;
ret = res_dr->read_w_condition(data, info, LENGTH_UNLIMITED, rc);
dr->delete_readcondition(rc);
if (ret != RETCODE_OK) return false;
if (info[0].valid_data ||
info[0].instance_state != NOT_ALIVE_DISPOSED_INSTANCE_STATE) return false;
return true;
}
int ACE_TMAIN (int argc, ACE_TCHAR *argv[])
{
DDS::DomainParticipantFactory_var dpf = DDS::DomainParticipantFactory::_nil();
DDS::DomainParticipant_var participant = DDS::DomainParticipant::_nil();
try
{
QuantLibAddinCpp::initializeAddin();
boost::gregorian::date date ( boost::gregorian::from_undelimited_string( "20111019" ) );
long evaluationDate = QuantLib::Date( date.day(), QuantLib::Month(date.month().as_number()), date.year() ).serialNumber();
QuantLibAddinCpp::qlSettingsSetEvaluationDate(evaluationDate, OH_NULL);
std::string ticker;
// Initialize, and create a DomainParticipant
dpf = TheParticipantFactoryWithArgs(argc, argv);
qldds_utils::BasicDomainParticipant participant( dpf, EQUITY_OPTIONS_DOMAIN_ID );
participant.createPublisher();
participant.createSubscriber();
DDS::DomainParticipant_var dp = participant.getDomainParticipant();
ACE_Get_Opt cmd_opts( argc, argv, ":s:" );
int option;
while ( (option = cmd_opts()) != EOF )
{
switch( option )
{
case 's' :
ticker = cmd_opts.opt_arg();
break;
}
}
// Topics
// setting up qlBlackConstantVols Topic
DDS::Topic_var ql_black_constant_vols_topic = participant.createTopicAndRegisterType
< qlBlackConstantVolsTypeSupport_var, qlBlackConstantVolsTypeSupportImpl >
( QL_BLACK_CONSTANT_VOLS_TOPIC_NAME );
// setting up qlGeneralizedBlackScholesProcesses Topic
DDS::Topic_var ql_generalized_black_scholes_processes_topic = participant.createTopicAndRegisterType
< qlGeneralizedBlackScholesProcessesTypeSupport_var, qlGeneralizedBlackScholesProcessesTypeSupportImpl >
( QL_GENERALIZED_BLACK_SCHOLES_PROCESSES_TOPIC_NAME );
// setting up qlStrikedTypePayoff Topic
DDS::Topic_var ql_striked_type_payoffs_topic = participant.createTopicAndRegisterType
< qlStrikedTypePayoffsTypeSupport_var, qlStrikedTypePayoffsTypeSupportImpl >
( QL_STRIKED_TYPE_PAYOFFS_TOPIC_NAME );
// setting up qlEuropeanExercises Topic
DDS::Topic_var ql_european_exercises_topic = participant.createTopicAndRegisterType
< qlEuropeanExercisesTypeSupport_var, qlEuropeanExercisesTypeSupportImpl >
( QL_EUROPEAN_EXERCISES_TOPIC_NAME );
StraddleSetupTypeSupport_var ts_res = new StraddleSetupTypeSupportImpl;
if ( ts_res->register_type(dp, "") != DDS::RETCODE_OK )
{
std::cout << "Registration of the Topic FAILED!!!!" << std::endl;
}
CORBA::String_var type_name = ts_res->get_type_name();
std::cout << "Type Name : " << type_name << std::endl;
std::stringstream multi_topic_select;
multi_topic_select << "SELECT ticker, putVols, callVols, putPayoffs, callPayoffs, process, exercises FROM "<<
QL_BLACK_CONSTANT_VOLS_TOPIC_NAME << " NATURAL JOIN " <<
QL_GENERALIZED_BLACK_SCHOLES_PROCESSES_TOPIC_NAME << " NATURAL JOIN " <<
QL_STRIKED_TYPE_PAYOFFS_TOPIC_NAME << " NATURAL JOIN " <<
QL_EUROPEAN_EXERCISES_TOPIC_NAME << " WHERE ticker = '" << ticker << "'";
std::cout << multi_topic_select.str() << std::endl;
DDS::MultiTopic_var mt = dp->create_multitopic("MyMultiTopic", type_name, multi_topic_select.str().c_str(), DDS::StringSeq());
if ( CORBA::is_nil( mt ) )
std::cout << "MultiTopic Subscribtion failed.!!!!" << mt << std::endl;
DDS::Subscriber_var sub = participant.getSubscriber();
std::cout << "Creating Data Reader"<< std::endl;
DDS::DataReader_var dr = sub->create_datareader(mt, DATAREADER_QOS_DEFAULT, 0, ::OpenDDS::DCPS::DEFAULT_STATUS_MASK);
std::cout << "Done..."<< std::endl;
DDS::WaitSet_var ws = new DDS::WaitSet;
DDS::ReadCondition_var rc = dr->create_readcondition( DDS::ANY_SAMPLE_STATE, DDS::ANY_VIEW_STATE, DDS::ANY_INSTANCE_STATE);
ws->attach_condition(rc);
DDS::Duration_t infinite = { DDS::DURATION_INFINITE_SEC, DDS::DURATION_INFINITE_NSEC};
DDS::ConditionSeq active;
int ret = ws->wait(active, infinite);
if (ret != DDS::RETCODE_OK) return false;
ws->detach_condition(rc);
// setting up topic for Straddles
DDS::Topic_var straddles_topic = participant.createTopicAndRegisterType
< StraddlesTypeSupport_var, StraddlesTypeSupportImpl >
( STRADDLES_TOPIC_NAME );
StraddlesDataWriter_var straddles_dw = participant.createDataWriter
< StraddlesDataWriter_var, StraddlesDataWriter >
( straddles_topic );
int calculation_performed = 0;
do {
StraddleSetupDataReader_var res_dr = StraddleSetupDataReader::_narrow(dr);
StraddleSetupSeq data;
DDS::SampleInfoSeq info;
int ret = res_dr->take_w_condition(data, info, DDS::LENGTH_UNLIMITED, rc);
if (ret == DDS::RETCODE_OK)
{
qlBlackConstantVolMatrix& putVols = data[0].putVols;
qlStrikedTypePayoffSeq& putPayoffs = data[0].putPayoffs;
qlBlackConstantVolMatrix& callVols = data[0].callVols;
qlStrikedTypePayoffSeq& callPayoffs = data[0].callPayoffs;
processes::qlGeneralizedBlackScholesProcess& process = data[0].process;
qlEuropeanExerciseSeq& exercises = data[0].exercises;
Straddles straddles;
straddles.ticker = CORBA::string_dup( ticker.c_str() );
straddles.underlying = data[0].process.Underlying;
int strike_count = putPayoffs.length() + callPayoffs.length();
int exercises_count = exercises.length();
straddles.options.length( strike_count * exercises_count );
int priced_options = 0;
price( ticker, putVols, putPayoffs, process, exercises, straddles, priced_options );
price( ticker, callVols, callPayoffs, process, exercises, straddles, priced_options );
ACE_DEBUG( (LM_INFO, "(%T|%P|%t) Publishing Straddles for ticker : %s trading @%f\n", ticker.c_str(), data[0].process.Underlying ) );
int ret = straddles_dw->write( straddles, DDS::HANDLE_NIL );
if (ret != DDS::RETCODE_OK) {
ACE_ERROR ((LM_ERROR, ACE_TEXT("(%P|%t) ERROR: Publishing Straddles for ticker : %s failed %d.\n"), ticker.c_str(), ret));
}
calculation_performed++;
}
} while ( calculation_performed < 30 );
cout << "Exiting..." << endl;
} catch (CORBA::Exception& e)
{
cerr << "Exception caught in main.cpp:" << endl << e << endl;
ACE_OS::exit(1);
}
TheServiceParticipant->shutdown();
return 0;
}
